DATA AS OF 6/30/21 www.calamos.com Total Return Fund Second Quarter 2021 Report

OVERVIEW Key Drivers of Performance Through its multi-sector fixed income strategy, the » The fund’s (I shares at NAV) return of 2.05% was moderately higher than the Bloomberg Barclays U.S. Aggregate Bond Index return of 1.83% for the quarter. fund invests predominantly in U.S. issuers with the goal of generating a high level of both current income » selection within the Treasury market contributed to performance. Many of the fund’s Treasury positions are long duration, and the long end of the curve and total return that provides consistent excess returns above the benchmark over full market cycles. rallied during the quarter. KEY FEATURES » The fund’s underweight position to mortgage-backed securities also boosted quarterly performance. » Employs bond-by-bond portfolio construction » Security selection within several industrial sectors dampened performance, notably within the consumer non-cyclical and communications industries. with a focus on being well compensated for risks taken. We believe a disciplined process, » Given their generally short maturities, security selection among the fund’s BBB rated holdings held back results. grounded in fundamental research, enables us to achieve higher total returns with less volatility. Market Overview » Draws on a broader investable universe » The broad U.S. , as tracked by the Bloomberg Barclays U.S. Aggregate Bond Index, delivered positive returns for the quarter. Credit spreads to enhance portfolio construction and risk moving tighter across sectors in addition to seven-year and longer Treasury yields moving lower both contributed to the market’s strong results. management. Expanding the universe to include high yield bonds, bank loans and » Investment-grade credit spreads tightened 11 basis points to close the quarter at 80 basis points over like maturity Treasuries. This compares with the preferreds provides additional opportunities. cycle wides of 373 basis points in late March 2020 on the heels of the COVID financial shock. » Utilizes robust, independent credit research. Our fixed income investment process unites » High-yield spreads tightened more substantially during the quarter, closing the reporting period at 269 basis points, 42 basis points tighter on the quantitative and qualitative analyses into historical and forward-looking models. The quarter. result is a credit rating reflective of where a » The U.S. rallied meaningfully in long-dated maturities, which led to a flatter curve. The spread differential between 2-year and 10-year company is heading. Treasuries moved 36 basis points tighter to close at 122 basis points. » Applies a macro overlay to capitalize on misunderstood industries and sectors. The SINCE overlay acts as a risk control that also considers AVERAGE ANNUAL RETURNS (%) QTD YTD 1-YEAR 3-YEAR 5-YEAR 10-YEAR INCEPTION (6/27/07) the business cycle, geopolitical factors, inflation and real rate expectations. Calamos Total Return Bond Fund I shares – at NAV 2.05 -1.14 0.88 5.17 3.06 3.08 4.34 PORTFOLIO FIT A shares – at NAV 1.99 -1.26 0.63 4.91 2.78 2.82 4.08 The fund may be suitable for investors as the A shares – Load adjusted -0.29 -3.46 -1.63 4.11 2.00 2.43 3.80 cornerstone of a fixed income allocation, with Bloomberg Barclays U.S. Aggregate Bond Index 1.83 -1.60 -0.33 5.34 3.03 3.39 4.32 investments diversified across the major sectors of the U.S. bond market. Complementary allocations Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The to specialized fixed income strategies seek to principal value and return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Performance reflected at NAV does not include the Fund’s maximum front-end sales load of 2.25%. Had it been included, the Fund’s return would have been lower. You can obtain performance data current to the most enhance return potential and better manage risk. recent month end by visiting www.calamos.com. Returns for periods greater than 12 months are annualizes. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized A SHARES C SHARES I SHARES average. In calculating net investment income, all applicable fees and expenses are deducted from the returns. All performance shown assumes reinvestment of and capital gains distributions. The Fund also offers Class C shares, the performance of which may vary. Ticker CTRAX CTRCX CTRIX The offering price for Class I shares is the NAV per share with no initial sales charge. There are no contingent deferred sales charges or distribution or service fees with respect to Class I shares. The minimum initial investment required to purchase each Fund’s Class I shares is $1 million. Class I shares are offered primarily for direct investment by investors through certain Total 1.04% 1.78% 0.78% tax-exempt retirement plans (including 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profit sharing and money purchase pension plans, defined benefit plans and non-qualified Expense Ratio deferred compensation plans) and by institutional clients, provided such plans or clients have assets of at least $1 million. Class I shares may also be offered to certain other entities or programs, including, but not limited to, investment companies, under certain circumstances. As of prospectus dated 3/1/21 NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE There can be no assurance that the Fund will achieve its investment objective. FIXED INCOME DATA AS OF 6/30/21 Calamos Total Return Bond Fund Second Quarter 2021 Report

Duration/Yield Curve Market Activity Positioning During the second quarter, the risk-on tone led to lower-rated securities outperforming. As such, BBB The team maintained a portfolio duration of 5.4 years or 0.6 years short the benchmark ending the rated bonds led all investment-grade credit categories with a 3.7% return, A rated securities finished quarter at 6.0 years or 6.6 years on an option-adjusted basis. up 3.2%; AA rated bonds returned 3.0%; and finally AAA securities increased 1.2%.

Market Activity Result With 2-year yields closing at 0.25%, up from 0.16%, and 10-year yields closing at 1.47%, down from The team’s security selection among AAA rated positions contributed to performance during the 1.74%, the 2y10y curve* flattened during the quarter to close at 122 basis points. reporting period, as our Treasury sector duration is greater than the benchmark. Security selection among both BBB and BB credits weighed on performance.

Results The short-duration positioning was moderately negative for performance, with the fund’s underweight Market Commentary to securities with durations over 10 years detracting the most. The U.S. investment-grade bond market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, returned 1.8% during the second quarter. Security Type Positioning Several significant changes and developments occurred during the quarter that helped propel risk The fund was overweight to corporate securities and asset-backed securities and underweight markets to stronger valuations in both domestic equities and fixed income. Regarding COVID-19, both Treasuries and mortgage-backed securities. Within the corporate-bond asset class, the largest the developed world made significantly quicker-than-expected progress developing, manufacturing overweights were in the consumer cyclical and consumer non-cyclical sectors. and distributing vaccines to the general public. At the end of June, over 154,000,000 Americans had been fully vaccinated, one of the quickest efforts in the world from the vantage of population

Market Activity percentage. To be clear, there have been challenges with the distribution and administration of the Within the Bloomberg Barclays U.S. Aggregate Bond Index, the corporate sector delivered a return of vaccines domestically and abroad. Given the recent proliferation of the Delta variant of COVID-19 and 3.6%, Treasury bonds followed with a return of 1.8%, government-related bonds (such as agencies) uncertainty concerning the vaccines’ efficacy in battling this variant, there is the risk that progress returned 1.7%, followed by the securitized sector’s 0.4% increase. against the virus could be stymied. Up until now, however, data related to COVID-19 progress had improved. Results The fund’s underweight to securitized products, the worst-performing sector of the market, boosted Despite the challenges abroad, the U.S. economy is experiencing improvement with the reopening performance. The overweight to corporate debt also had a positive impact. of travel, leisure, restaurants and other service businesses that have been the most impacted by the pandemic. Airlines are reporting, for instance, that domestic leisure flights have strengthened quickly, Credit Quality and TSA screening volumes are approaching pre-pandemic levels. And cruise companies are planning for some form of heading back to sea this summer. Positioning The fund was underweight the AAA and AA rated credit tiers and had heavier exposure to the A, BBB, BB and B rated credits. *A 2y10y curve is the yield differential between the 2-year and 10-year maturity points of the Treasury curve. Past performance does not guarantee future results. Please see additional disclosures on last page. 2 FIXED INCOME DATA AS OF 6/30/21 Calamos Total Return Bond Fund Second Quarter 2021 Report

SECTOR ALLOCATION FUND % FUND FACTS FUND INFORMATION A SHARES C SHARES I SHARES

High Yield Corporate Debt 11.6 Number of Holdings 290 12,147 Sales Load/Maximum Sales Charge Front-End/2.25% Level-Load/1.00% N/A Investment Grade Corporate Debt 39.2 Total Net Assets (mil) $72.4 N/A Gross Expense Ratio 1 1.04% 1.78% 0.78% Government Debt 19.1 Portfolio Turnover (12 months) 53.6% N/A Net Expense Ratio 1,2 0.91% 1.66% 0.66% Securitized Debt 18.1 Distribution Frequency Monthly N/A 1 Data as of prospectus dated 3/1/21. Syndicated Loans 8.9 Distibution Accrual Daily N/A 2 The Fund’s investment advisor has contractually agreed to reimburse Fund expenses through 3/1/23 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, U.S. Municipal Debt 0.0 Option Adjusted Duration 5.98 years 6.55 years short interest, short expenses, brokerage commissions, acquired fund fees and expenses and extraordinary expenses, if any) of Class A, Class C and Class I are limited to 0.90%, 1.65% and Cash and Receivables/Payables 3.0 Time to Maturity 8.26 years 8.52 years 0.65% of average net assets, respectively. This agreement is not terminable by either party. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is Option Adjusted Spread 95 bps 33 bps not terminable by either party.

Higher inflation readings in both headline and core measures have expanded substantially during the Outlook reporting period. Some of this is driven by low-base effects from the inflation readings the economy The reopening of the economy is well underway, and the progress occurring at a macro-level is well experienced in mid-2020. Additionally, supply-chain challenges for finished goods are driving prices reflected in several data points. Growth rates, spending levels, and optimism from business leaders higher as the global economy emerges from the COVID-19 crisis. One example is the semiconductor and consumers are at very strong levels. While we expect each of these factors to wane in the coming shortage we are currently facing, which impacts the availability of new cars and trucks. quarters, it is challenging to find potential catalysts that would lead to significantly weaker economic developments outside of a Fed misstep. That said, we anticipate a moderating trend in the growth of The federal government continues to provide high levels of fiscal policy stimulus in the form of economic activity. increased unemployment benefits and potential infrastructure investment. Moreover, the Federal

Reserve has continued to provide a historically high level of monetary policy support by holding the As it relates to inflation, we continue to expect the current high levels to be transitory. A rectification of federal funds rate near zero and by continuing to purchase $80 billion of Treasury securities and $40 supply-chain issues in several key industries could see a weakening of the upward pressure on inflation billion of mortgage-backed securities per month. Liquidity conditions in the high-yield and leveraged- in the coming quarters, and low-base effects will be rolling off the year-over-year data before year loan markets are very strong, and companies coming to market with new issue securities are met with end. Persistent wage inflation would be necessary to maintain upward consumer price pressure as ample demand from investors. All these factors combined to deliver strong returns for both the equity time passes. And while there are many anecdotal stories about increased wages for both skilled and and high-yield markets during the quarter. unskilled labor, we would point out that aggregate wages in the United States remain several hundred billion below the 2019 peak. As crisis era federal unemployment benefits roll off in the fall, we believe As a risk-on tone dominated the quarter, lower-quality, below-investment-grade bonds rated CCC that additional labor market slack will appear in the form of higher labor participation rates abating delivered returns of 3.5%, whereas BB-rated issuers delivered a gain of 2.7%. After closing the first some of the current wage inflation pressure. quarter with option adjusted spreads on high-yield bonds at 311 basis points, the market further rallied this past quarter, closing at 269 basis points. The same pattern was true in investment-grade spreads, The Fed has yet to speak directly to the removal of its accommodative policy, but our expectation closing at 80 basis points, down from 91 basis points in the prior quarter. BBB credit quality led is that they will begin direct mention of a tapering of existing asset purchases this fall, with performance among investment-grade ratings, returning 3.7%. commencement of the taper beginning in late 2021 or early 2022. The removal of this incremental

Past performance does not guarantee future results. 3 FIXED INCOME DATA AS OF 6/30/21 Calamos Total Return Bond Fund Second Quarter 2021 Report

demand for Treasury and Agency MBS securities will most likely lead to gradually higher interest rates as the technical environment softens. Spreads in risk assets are trading near all-time tights, and while we do not see a catalyst for materially wider levels from here, further tightening at a broad level will prove more difficult. Our base case anticipates tight trading ranges in the coming quarter or two, emphasizing the need for active management and our bond-by-bond driven investment philosophy.

NOTES Additional Information herein is for informational purposes only and should not be Fixed income securities are subject to interest rate risk; A credit rating is a relative and subjective measure of a considered investment advice. as interest rates go up, the value of debt securities in the bond issuer’s credit risk, including the possibility of default. Important Risk Information. An investment in the Fund(s) fund’s portfolio generally will decline. Owning a bond fund Credit ratings are assigned to companies by First-party is subject to risks, and you could lose money on your is not the same as directly owning fixed income securities. groups, such as Standard and Poor’s. Assets with the investment in the Fund(s). Your investment in the Fund(s) If the market moves, losses will occur instantaneously, and highest ratings are referred to as “investment grade” while is not a deposit in a bank and is not insured or guaranteed there will be no ability to hold a bond to maturity. those in the lower tiers are referred to as “noninvestment by the Federal Deposit Insurance Corporation (FDIC) or Average effective duration provides a measure of the grade” or “high-yield. Ratings are measured using a scale any other government agency. The risks associated with Fund’s interest rate sensitivity—the longer a fund’s that typically ranges from AAA (highest) to D (lowest). an investment in the Fund(s) can increase during times of duration, the more sensitive it is to shifts in interest rates. 30-Day SEC yield reflects the dividends and interest significant market volatility. The Fund(s) also has specific Average effective maturity is the weighted average of the earned by the Fund during the 30-day period ended as of principal risks, which are described below. More detailed maturities in a portfolio of bonds. Option adjusted spread the date stated above after deducting the Fund’s expenses information regarding these risks can be found in the (OAS) is the which has to be added to a for that same period. Fund’s prospectus. benchmark yield curve to discount a security’s payments to Past performance does not indicate future results. No The principal risks of investing in the Total Return Bond match its market price; uses a dynamic pricing model that investment strategy or objective is guaranteed and a Fund include: interest rate risk consisting of loss of value accounts for embedded options and is usually measured in client’s account value can fluctuate over time and be for income securities as interest rates rise, credit risk basis points. worth more or less that the original investment. The consisting of the risk of the borrower to miss payments, The Bloomberg Barclays U.S. Aggregate Bond Index opinions referenced are as of the date of publication and high yield risk, liquidity risk, mortgage-related and other covers the U.S. denominated, investment-grade, fixed-rate, are subject to change due to changes in the market or asset-back securities risk, including extension risk and taxable bond market of SEC-registered securities. The index economic conditions and may not necessarily come to pass. prepayment risk, U.S. Government security risk, foreign includes bonds from the Treasury, Government-Related, Information contained herein is for informational purposes securities risk, non-U.S. Government obligation risk and Corporate, MBS (agency fixed rate and hybrid ARM pass- only and should not be considered investment advice. The portfolio selection risk. throughs), ABS, and CMBS sectors. information contained herein, while not guaranteed as to Before investing carefully consider the fund’s Calamos Financial Services LLC, Distributor the accuracy or completeness, has been obtained from investment objectives, risks, charges and expenses. 2020 Calamos Court | Naperville, IL 60563-2787 Unmanaged index returns assume reinvestment of any and sources we believe to be reliable. The opinions referenced all distributions and, unlike fund returns, do not reflect Please see the prospectus and summary prospectus 800.582.6959 | www.calamos.com | [email protected] are as of the date of publication and are subject to change containing this and other information which can © 2021 Calamos Investments LLC. All Rights Reserved. Calamos® fees, expenses or sales charges. Investors cannot invest due to changes in the market or economic conditions and ® directly in an index. be obtained by calling 1-800-582-6959. Read it and Calamos Investments are registered trademarks of Calamos may not necessarily come to pass. Information contained carefully before investing. Investments LLC. TRBCOM 7930 0621Q R